I have read that option traders use the straddle option strategy before the earning call approaching for a company. How many days close to the earnings call, the traders will buy the options? Is it like a week before a few hours before the earnings call? It is important to get the closest price of the stock to set the striking price which I think is more accurate close to the call like a few hours before than a week before.

1 Answer 1


Option implied volatility begins rising 2-4 weeks before an earnings announcement, sometimes sharply. It then contracts when after the EA and option premium drops.

Some buy the straddle up to several weeks before the EA in order to offset the time decay, hoping that the underlying may also move directionally resulting in straddle profits before the EA.

Others pay through the nose for the straddle just before the EA, hoping that the post EA share price move will be large enough to offset the premium contraction and even more in order to make a profit.

Others sell the straddle in order to capitalize on the premium contraction, hoping that the underlying does not move beyond the the strike by the total amount of the premium received.

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